Jumbo Downgrades Exceed 5k Since May

Standard and Poor’s Ratings Service reported that it downgraded 1,784 ratings on 167 U.S. prime jumbo residential mortgage-backed securities on July 1. A June 25 round of downgrades impacted 71 tranches on 68 jumbo deals, while June 1 actions resulted in 66 downgrades on 59 jumbo RMBS.

S&P said that its belief that credit enhancement was insufficient prompted downgrades to classes of the following jumbo transactions.

• Alternative Loan Trust 2005-43;
• Chevy Chase Funding LLC Mortgage Backed-Certificates, Series 2006-3 Trust;
• CHL Mortgage Pass Through Trust 2004-22;
• Citigroup Mortgage Loan Trust 2007-6;
• Citigroup Mortgage Loan Trust Inc. 2005-7;
• GreenPoint Mortgage Funding Trust 2006-AR3;
• GSR Mortgage Loan Trust 2006-4F and 2007-AR2;
• Harborview Mortgage Loan Trust 2005-14 and 2006-12;
• Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A7;
• Morgan Stanley Mortgage Loan Trust 2007-13 and 2007-14AR;
• Nomura Home Equity Loan Inc. Home Equity Loan Trust Series 2007-3;
• Structured Adjustable Rate Mortgage Loan Trust Series 2005-1;
• Structured Asset Mortgage Investments II Grantor Trust 2007-AR3 and 2007-AR3; and
• Structured Asset Mortgage Investments II Trust 2006-AR7, 2007-AR3 and 2007-AR4.

A cash-flow modeling error by Moody’s Investors Service that improperly allocated prepayment proceeds led the ratings agency to adjust its ratings on 21 jumbo transactions.

Updated loss expectations on the underlying collateral relative to available credit enhancement prompted Moody’s to downgrade tranches of the following securities.

• 205 ratings from 29 transactions securitized by CHL Mortgage Pass-Through Trust in 2003 and 2004;
• 140 tranches from 21 RMBS issued by CSFB between 2002 and 2004;
• 121 certificates from 19 Sequoia issuances from 2003 and 2004;
• 115 tranches from 21 transactions issued by WaMu Mortgage-Backed Pass-Through Certificates Trusts between 2002 and 2004;
• 104 classes of 21 Wells Fargo issuances from 2004;
• 98 certificates from 18 Banc of America securitizations closed from 2002 to 2004;
• 98 classes of 13 Bear Stearns ARM Trust deals issued in 2002, 2003 and 2004;
• 87 tranches from 14 Merrill Lynch issuances from 2003 and 2004;
• 76 ratings from four 2004 J.P. Morgan Mortgage Trust transactions;
• 67 tranches from seven 2003 and 2004 GSR RMBS;
• 32 classes of six Thornburg Mortgage Securities Trust securitizations from 2002, 2003 and 2004;
• 31 ratings from five 2003 and 2004 GMACM Mortgage Loan Trust issuances;
• 27 certificates from four 2004 CWMBS Mortgage Pass-Through Trust;
• 24 tranches of Citigroup Mortgage Loan Tr Series 2004-HYB1, 2004-HYB2 and 2004-HYB3;
• 12 ratings from Bella Vista Mortgage Trust 2004-1;
• nine classes of RFMSI Series 2004-S7 and 2004-S9 Trust and RFSC Series 2002-RM1 Trust;
• eight certificates from MASTR Adjustable Rate Mortgage Trust 2004-13;
• five ratings from Mortgage Pass-Through Certificates, MLMI Series 2003-A5;
• five tranches from Charlie Mac Trust 2004-2;
• four classes of First Horizon Mortgage Pass-through Trust 2004-AR5;
• four certificates from ABN AMRO Mortgage Corporation, Multi-Class Pass-Through Certificates, Series 2003-10;
• two ratings from Provident Funding Mortgage Loan Trust 2004-1; and
• two tranches from Structured Asset Securities Corp Trust 2004-18H.

Moody’s cited quickly deteriorating performance and concerns about worsening home prices and unemployment in its downgrade of the following RMBS.

• 331 certificates from 19 Banc of America Funding Trust and Banc of America Mortgage Trust deals issue in 2005;
• 280 classes of GSR transactions issued in 2005, 2006 and 2007;
• 227 tranches from 17 Citicorp and Citigroup deals closed between 2005 and 2008;
• 217 certificates from nine 2006 and 2008 J.P. Morgan Mortgage Trust and CHL Mortgage Pass-Through Trust;
• 159 ratings from Chase Mortgage Finance Trust Series 2007-A1, 2007-A3 and 2007-S3;
• 93 classes of CSFB Mortgage Pass-Through Ctfs 2005-1, 2005-4 and 2005-5;
• 85 ratings from 12 Wells Fargo Mortgage Backed Securities Trust deals issued in 2005;
• 74 tranches from MASTR Asset Securitization Trust 2005-2, 2006-1 and 2006-2;
• 71 classes of 11 First Horizon transactions issued in 2005, 2006 and 2007;
• 67 certificates from four 2005 J.P. Morgan Mortgage Trust securitizations;
• 54 ratings from five 2005 and 2006 GMACM RMBS;
• 53 ratings from GSR Mortgage Loan Trust 2005-6F and 2005-7F;
• 31 tranches from CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-9;
• 29 certificates from Citicorp Mortgage Securities, Inc. 2005-5 and 2005-7;
• 28 classes of Wells Fargo Mortgage Backed Securities 2006-2 Trust;
• 28 ratings from Wells Fargo Mortgage Backed Securities 2007-3 Trust;
• 24 tranches from PHH Mortgage Trust, Series 2008-CIM1;
• 18 ratings from GSR Mortgage Loan Trust 2002-3F and 2005-AR2;
• 17 classes of Bear Stearns ARM Trust 2005-2 and 2005-5;
• 15 tranches from Prime Mortgage Trust 2006-2 and Prime Mortgage Trust 2007-1;
• 12 tranches from 16 Wells Fargo Mortgage Backed Securities Trusts from 2005;
• 11 certificates from Provident Funding Mortgage Loan Trust 2005-1 and 2005-2;
• 11 classes of Wells Fargo Mortgage Backed Securities 2008-1 Trust;
• nine ratings from NYMT 2006-1;
• nine certificates from IndyMac Mortgage Loan Trust 2005-AR1;
• nine tranches of Wells Fargo Mortgage Backed Securities 2008-AR1 Trust and 2008-AR2 Trust;
• nine ratings from 10 RMBS issued by Banc of America, CHL Mortgage Pass-Through Trust and J.P. Morgan Mortgage Trust between 2005 and 2008;
• nine certificates from Chase Mortgage Finance Trust 2006-S1;
• five ratings from First Horizon 2006-4;
• five certificates from SARM 2008-1;
• five classes of WAMU 2005-AR4;
• five certificates from Wells Fargo Mortgage Backed Securities 2007-AR10 Trust;
• four ratings from Wells Fargo Mortgage Backed Securities 2007-17 Trust;
• two tranches from 10 CHL Mortgage Pass-Through Trust deals issued in 2005; and
• two classes of CHL Mortgage Pass-Through Trust 2007-4.